constructor for return_constraint
The return constraint specifes a target mean return value.
This function is called by add.constraint when type="return" is specified, add.constraint
return_constraint(type = "return", return_target, enabled = TRUE, message = FALSE, ...)
type |
character type of the constraint |
return_target |
return target value |
enabled |
TRUE/FALSE |
message |
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE. |
... |
any other passthru parameters |
an object of class 'return_constraint'
Ross Bennett
data(edhec) ret <- edhec[, 1:4] pspec <- portfolio.spec(assets=colnames(ret)) pspec <- add.constraint(portfolio=pspec, type="return", return_target=mean(colMeans(ret)))
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